Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 3 3 2
Score -1.79 -0.62 -2.31
Market Cap (Millions USD) 6308.63 6302.09 6087.06
Predicted Beta 1.61 1.65 1.64
Idiosyncratic Volatility 2.83 4.09 4.42

Annualized return and volatility

IJJ
Annualized Return 0.1011
Annualized Std Dev 0.2032
Annualized Sharpe (Rf=0%) 0.4976

Row

Daily Return Statistics

IJJ
Observations 4965.0000
NAs 148.0000
Minimum -0.1141
Quartile 1 -0.0054
Median 0.0007
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0068
Maximum 0.1105
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0128
Skewness -0.1743
Kurtosis 8.1712

Downside Risk

IJJ
Semi Deviation 0.0093
Gain Deviation 0.0090
Loss Deviation 0.0099
Downside Deviation (MAR=210%) 0.0138
Downside Deviation (Rf=0%) 0.0090
Downside Deviation (0%) 0.0090
Maximum Drawdown 0.5800
Historical VaR (95%) -0.0191
Historical ES (95%) -0.0303
Modified VaR (95%) -0.0191
Modified ES (95%) -0.0321
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2011-02-07 -0.5800 945 455 490
2002-04-18 2002-10-09 2003-10-09 -0.3272 382 124 258
2011-05-02 2011-10-03 2012-03-15 -0.2755 223 109 114
2018-08-30 2018-12-24 2019-11-05 -0.2285 303 82 221
2001-05-23 2001-09-21 2002-03-01 -0.2132 195 83 112

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IJJ
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA 0.0 0.1 0.0 -0.3 1.0 0.0 0.8
2001 0.8 -0.5 0.0 0.2 1.0 0.0 0.7 0.0 -2.0 1.1 0.0 0.0 1.3
2002 -0.1 1.7 0.2 0.4 0.0 -1.9 -2.4 0.0 1.7 1.5 0.0 0.0 1.0
2003 0.0 0.0 0.5 0.1 0.0 0.6 -0.8 0.0 2.3 0.0 1.2 0.0 4.0
2004 0.0 1.6 0.8 0.0 0.4 -1.5 0.0 0.6 1.5 0.2 1.1 0.0 4.8
2005 0.6 0.9 -0.1 0.0 1.1 0.8 0.1 0.2 0.0 0.7 1.5 0.0 6.0
2006 0.4 1.5 0.0 -0.5 1.2 0.0 -0.5 0.3 0.0 -1.0 0.0 0.0 1.4
2007 1.2 -0.3 0.0 0.4 0.6 0.0 0.8 0.0 1.3 -2.5 0.0 0.0 1.4
2008 2.2 0.0 2.9 1.8 0.0 -0.2 0.0 0.0 -1.0 0.0 -11.4 0.0 -6.3
2009 0.0 0.0 1.7 -0.5 3.7 1.4 0.0 -2.3 -3.3 0.0 1.4 0.0 2.0
2010 1.4 1.6 1.1 0.0 -2.8 -0.8 0.0 3.3 0.3 0.0 2.1 0.0 6.3
2011 1.6 -1.7 0.9 0.0 -2.6 1.6 -0.7 -1.8 0.0 -3.3 -0.7 0.0 -6.5
2012 2.1 0.8 0.0 0.4 -3.0 0.0 -0.9 0.0 -0.4 2.3 0.0 0.0 1.2
2013 0.8 -0.4 -1.0 -1.9 0.0 1.1 2.0 0.0 1.3 0.0 0.0 0.0 1.9
2014 0.0 0.0 0.7 0.1 0.0 0.6 -0.1 0.0 -1.3 0.0 -1.0 0.0 -1.0
2015 0.0 0.0 -0.1 0.6 0.0 0.2 0.0 -3.1 -0.2 0.0 0.8 0.0 -2.0
2016 -0.4 2.0 0.2 0.0 0.4 0.4 -0.6 -0.2 0.0 -1.0 0.0 0.0 0.7
2017 -0.2 1.8 0.0 0.2 1.8 0.0 0.1 0.4 0.0 -0.1 -0.2 0.0 3.9
2018 0.0 -0.1 0.0 0.2 0.4 0.0 -0.4 0.0 -0.6 1.7 0.0 0.0 1.2
2019 0.2 0.8 1.7 -1.0 0.0 0.6 -2.1 0.0 -2.0 1.5 0.0 -0.1 -0.5

Row

Rolling Performance Chart

Snail Trail Chart